Abstract: The relevance of the topic of research is conditioned by the fact, that on the one hand conducting stress testing of the bank’s risks, including market risks, is a mandatory regulatory requirement, and on the other hand there are no clear recommendations to its quality implementation and enforcement. New scientific results of the publication are the development of the concept of market risk stress testing of a commercial bank, based on econometric modeling methods. The article proposes the conceptual thesis of the organization and conducting of market risk stress testing in cooperation with indepth study of each stages from the concept. One of the most important stages of stress testing is the construction of shock scenarios, which on the one hand would have a historical basis, and on the other — take into account the depth of a possible crisis. At the same time, it is important to adequately assess potential losses, as their underestimation can lead to a false sense of security, 133 and overly overestimation — to excessive capital provisions with the purpose to cover high risk. To solve this problem, it is proposed to model stress testing scenarios using econometric modeling methods, which would take into account the existing relationships between affecting market risk financial and macroeconomic indicators and adequately measure risk value. Authors have done an analytical review of classical and modern econometric tools in the context of the possibility and feasibility of its application to the modeling stress testing scenarios and they offered to use vector autoregression model, which creates the best conditions for modeling market risk in a stressful economic situation and allows the most complete and objective analysis of the mutual influence on key risk factors of market risk. The criteria for selecting variables, that characterize market risk for modeling stress testing, are described in details. The results of scientific research can be useful for risk units of commercial banks, that implement tools for stress testing of market risk in the internal risk management system.